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What Happened to LIBOR-OIS?

One of the stories that have slipped out of the news is OIS-LIBOR spread. The widening of the spread, which is often associated with financial stress, had widened starting late last year. It was near 20 bp last November and proceeded to triple in the following months. The spread peaked a little more than a month ago and has drifted lower to stand near 45 bp now, a two-month low.
The spread between T-bill and Eurodollars is also a measure of perceived risk. When stressed, investors prefer T-bills to Eurodollars. The TED spread widened similarly. It too has fallen back since early April. This lends support to ideas that what happened ... (full story)